*
* Example 6.3 from page 260
*
open data d-cscoy99ln.dat
data(format=free,org=columns) 1 252 return
*
* Data on the file are in percentages. We scale them by 100 to reproduce the
* numbers given in the book
*
set return = return/100.0
corr(number=24,span=12,qstats) return
*
stats return
compute sighat=sqrt(%variance)*sqrt(252.0)
compute muhat =%mean*252.0+sighat**2/2.0
disp "Expected Return" 100.0*muhat "Standard Deviation" 100.0*sighat